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Dear RealTraders -
As a true trading systems nerd, I've been spending my hours tooling
around with the QuickEditor on SuperCharts v4.0 with some end-of-data on
CBOT Soybeans from Pinnacle Data. I've been playing with some very
simple patterns, and emerged with some interesting results. This quick
message is to share those results and invite any and all traders who
have some ideas on how to improve this system to share it with me and
the rest of the traders here.
Again, this is a short-term system. Sell signals are the opposite of buy
signals. All orders are to BUY at the market opening (I know, not always
a lot of fun) and usually close out the day with a profit or hold on one
day for a profit. Here is the system:
TO BUY SOYBEANS TOMORROW ON THE OPENING:
* Today's close has to be less than its open
* Yesterday's close has to be higher than yesterday's open
* The close two days ago had to be higher than the open two day's ago
* Today's close has to be the lowest close in the last nine days
In EasyLanguage, these criteria to buy at the market are:
Close < Open and C[1] > O[1] AND C[2] > O[2] AND C > Lowest(Close,9)[1]
TO EXIT POSITION AT TODAY'S CLOSE:
* Today's close must be higher than today's open
* The position is one day old and we close below today's open
In EasyLanguage, these criteria to sell at the market close are:
(BarsSinceEntry(0) > 0 AND C < O) OR C > O
Again, the sell signals are the exact reverse of the buy signals. I
have attached an .ela file of the system for those people out there with
SuperCharts v4.0 or TradeStation 4.0 to tool around with.
Now, I may be extremely naive of trying to test a soybean trading system
based on entry and exit rules that rely on the volatile open and close,
but this is what I ended up with as results:
Soybeans - CBOT-Daily 01/02/69 - 04/24/97
Performance Summary: All Trades
Total net profit $ 94881.50 Open position P/L $ 0.00
Gross profit $ 263680.50 Gross loss $-168799.00
Total # of trades 1421 Percent profitable 73%
Number winning trades 1040 Number losing trades 381
Largest winning trade $ 2000.00 Largest losing trade $ -2250.00
Average winning trade $ 253.54 Average losing trade $ -443.04
Ratio avg win/avg loss 0.57 Avg trade(win & loss) $ 66.77
Max consec. winners 19 Max consec. losers 6
Avg # bars in winners 0 Avg # bars in losers 1
Max intraday drawdown $ -5987.50
Profit factor 1.56 Max # contracts held 1
Account size required $ 5987.50 Return on account 1585%
Performance Summary: Long Trades
Total net profit $ 56009.00 Open position P/L $ 0.00
Gross profit $ 134764.50 Gross loss $ -78755.50
Total # of trades 732 Percent profitable 76%
Number winning trades 555 Number losing trades 177
Largest winning trade $ 2000.00 Largest losing trade $ -1325.00
Average winning trade $ 242.82 Average losing trade $ -444.95
Ratio avg win/avg loss 0.55 Avg trade(win & loss) $ 76.52
Max consec. winners 21 Max consec. losers 5
Avg # bars in winners 0 Avg # bars in losers 1
Max intraday drawdown $ -5487.50
Profit factor 1.71 Max # contracts held 1
Account size required $ 5487.50 Return on account 1021%
Performance Summary: Short Trades
Total net profit $ 38872.50 Open position P/L $ 0.00
Gross profit $ 128916.00 Gross loss $ -90043.50
Total # of trades 689 Percent profitable 70%
Number winning trades 485 Number losing trades 204
Largest winning trade $ 1475.00 Largest losing trade $ -2250.00
Average winning trade $ 265.81 Average losing trade $ -441.39
Ratio avg win/avg loss 0.60 Avg trade(win & loss) $ 56.42
Max consec. winners 19 Max consec. losers 6
Avg # bars in winners 0 Avg # bars in losers 1
Max intraday drawdown $ -6275.00
Profit factor 1.43 Max # contracts held 1
Account size required $ 6275.00 Return on account 619%
These results were obtained by using $1000 profit, $1000 protective stop
and $200 breakeven point, trading 1 contract.
Now, I realize that 1585% return over 26 years is not stunning given the
recent performance of the stock market, and that $235 per winning trade
for beans is about 4.5 cents per trade per contract (skippity doo) BUT I
was somewhat encouraged by the percentage of winning trades (73%)
overall, both long and short, given the high number (almost 1500 trades
over 6250 trading days, or one trade about every four days).
My question for everyone out there is -- given these results and ANY
familiarity you may have with trading soybean futures, HOW WOULD YOU TRY
TO IMPROVE THIS SYSTEM, IF IT CAN BE IMPROVED AT ALL (i.e., if there is
any hope)?
Or, since this system relies on trading buys or sells at the market open
and close, are these results, in your opinion, a fiction, given
slippage, etc.?
Any feedback would be greatly appreciated!!!
Michael Strupp
Chicago, IL
Attachment Converted: "c:\eudora\attach\Bean.ela"
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